Some new results on the empirical copula estimator with applications

J.W.H. Swanepoel and J.S. Allison

Statistics & Probability Letters, 2013, vol. 83, issue 7, 1731-1739

Abstract: We derive the joint distribution of the ranks associated with a given bivariate random sample. Using these results, exact non-asymptotic expressions and asymptotic expansions for the mean and variance of the classical empirical copula estimator are obtained. An explicit expression of the coefficient appearing in the O(1/n)-term for the mean can, for example, be found; a result that apparently does not appear in the existing literature. Furthermore, it is shown that similar explicit non-asymptotic expressions as well as asymptotic expansions can be derived for the rank-based Bernstein copula estimator.

Keywords: Bernstein; Empirical copula; Ranks (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.03.027

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